Since the external entity lies on a different database, the database engine doesn’t allow to create a foreign key constraint between a table existent on the OutSystems data model, and an external entity.

So, in OutSystems, when creating a referenced attribute, if you set the Delete Rule to either protect or delete between tables in different catalogs, this error will occur because the Agile Platform will attempt to create a foreign key contraint between both tables. You should be able to create referenced attributes, but with the Delete Rule set to Ignore.